I made an example, to understand it better:
You should see -power and -damage as thieves that are trying to steal stats from you, with protection damage/power you are protected against those criminals.
However power/damage exchange isnt stealing, its just trading. (In most cases unfair trading, but that isn't stealing.)
As you can see Marjory is not protected against those traders, you played her against.
Short answer: It isn't protected.
Have a great day, sir!
No, protection serves only againts abilites with reduction of power, which power exchange "isnt". I can give you this example:
You have 5 power, the enemy has the reduction - 3 power minimum 2. Your power is protected from reduction, so you stay at 5 power.
Now imagine (it isnt implemented in the game), you have 5 power with protection (which protects you from reduction), the enemy has 7 power with power exchange.
You now have 7 power and the enemy has 5. So the exchange ability in theory isnt a straight up reduction type ability, but in most cases is.